systemfit: Kmenta – R documentation

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Kmenta

Partly Artificial Data on the U. S. Economy

Description

These are partly contrived data from Kmenta (1986), constructed to illustrate estimation of a simultaneous-equation model.

Usage

data("Kmenta")

Format

This data frame contains 20 annual observations of 5 variables:

consump: food consumption per capita.
price: ratio of food prices to general consumer prices.
income: disposable income in constant dollars.
farmPrice: ratio of preceding year's prices received by farmers to general consumer prices.
trend: time trend in years.

Details

The exogenous variables income, farmPrice, and trend are based on real data; the endogenous variables price and consump were generated by simulation.

Source

Kmenta (1986), Table 13-1, p. 687.

References

Kmenta, J. (1986). Elements of Econometrics, Second Edition, Macmillan, New York.

Examples

## Replicating the estimations in Kmenta (1986), p. 712, Tab 13-2
data( "Kmenta" )
eqDemand <- consump ~ price + income
eqSupply <- consump ~ price + farmPrice + trend
inst <- ~ income + farmPrice + trend
system <- list( demand = eqDemand, supply = eqSupply )

## OLS estimation
fitOls <- systemfit( system, data = Kmenta )
summary( fitOls )

## 2SLS estimation
fit2sls <- systemfit( system, "2SLS", inst = inst, data = Kmenta )
summary( fit2sls )

## 3SLS estimation
fit3sls <- systemfit( system, "3SLS", inst = inst, data = Kmenta )
summary( fit3sls )

## I3LS estimation
fitI3sls <- systemfit( system, "3SLS", inst = inst, data = Kmenta,
   maxit = 250 )
summary( fitI3sls )

systemfit

Estimating Systems of Simultaneous Equations

v1.1-24

GPL (>= 2)

Authors

Arne Henningsen and Jeff D. Hamann

Initial release

2019-12-08